Return and Volatility Connectedness of the Non-Fungible Tokens Segments

Thumbnail Image
Return and volatility connectedness of the non-fungible tokens segments.pdf (1.85 MB)
Authors
Umar, Zaghum
Alwahedi, Wafa
Zaremba, Adam
Vo, Xuan Vinh
Date
2022
Journal Title
Journal ISSN
Volume Title
Publisher
Elsevier
License
Creative Commons License
Uznanie autorstwa 3.0 Polska
Abstract
Non-fungible tokens (NFTs) have gained attention from investors and general public. This is the pioneering study analyzing the connectedness of five NFT segments by identifying the transmitter and receivers of spillover for both return and volatility of NFT segments. Our results show that Utility NFTs are the main transmitter of spillover, whereas the collectible NFTs are the main recipient of spillover for both return and volatility. Our findings have important implication for investors and policy makers.
Description
Description
Keywords
return connectedness  COVID-19  non-fungible tokens  spillover
Citation
Umar, Z., Alwahedi, W., Zaremba, A., & Vo, X. V. (2022). Return and volatility connectedness of the non-fungible tokens segments. Journal of Behavioral and Experimental Finance, 35, 100692. https://doi.org/10.1016/j.jbef.2022.100692
URI
https://open.icm.edu.pl/handle/123456789/22673
Related research dataset
Belongs to collection
Artykuły / Articles